Q & A Database

The GIPS Standards Q&A database contains questions and answers (Q&As) on various searchable topics that provide additional interpretation on an issue. Q&As are considered to be authoritative guidance and must be followed in order to claim compliance with the GIPS standards.

Content from prior Q&As was included in the GIPS Standards Handbook as much as possible and many Q&As were archived. Change the Status drop-down filter to "Archived" to see the archived Q&As.

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Archived

Effective: 1 May, 2010 - 31 October, 2012

Categories: Risk

Source: GIPS Executive Committee

For periods ending on or after 1 January 2011, firms must present, as of each annual period end, the three-year annualized ex-post standard deviation (using monthly returns) of both the composite and the benchmark. If the firm determines that the three-year annualized ex-post standard deviation is not relevant or appropriate, the firm must also present a three-year ex-post risk measure in addition to the three-year annualized ex-post standard deviation. We do not believe that standard deviation is a relevant or appropriate measure for our composite strategy. May we present an ex-ante measure of risk in addition to the three-year annualized ex-post standard deviation to satisfy this requirement?

No. If a firm does not believe that ex-post standard deviation is relevant or appropriate for the composite, the firm must also present a three-year ex-post measure of risk in addition to the three-year annualized ex-post standard deviation. The firm must describe why ex-post standard deviation is not relevant or appropriate, the additional risk measure that is presented, and why it was selected. An ex-ante measure of risk may be presented as supplemental information. However, this would not satisfy the requirement to present an ex-post measure of risk in addition to the three-year annualized ex-post standard deviation if the firm does not believe that standard deviation is relevant or appropriate for the composite.

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